TermStrucutue

Posted by audetto on Sep 20, 2002; 2:40am
URL: http://quantlib.414.s1.nabble.com/TermStrucutue-tp2191.html

Hi,

I tried to add a BondRateHelper to build a GovernmentBond Term Structure,
but I have a little doubt.

The bootstrap method in PiecewiseFlatForwar uses a 1D solver to match exactly
all the quotes I give it. I think that for bonds (the are a lot of BTPs,
40...) it is not possible to find an exact curve, but it should be better
to parametrize the curve and minimize the sum of squares of errors w.r.t
parameters...

any idea

ciao

andrea

__________________________________________________________________
Tiscali Ricaricasa
la prima prepagata per navigare in Internet a meno di un'urbana e
risparmiare su tutte le tue telefonate. Acquistala on line e non avrai
nessun costo di attivazione né di ricarica!
http://ricaricasaonline.tiscali.it/